CRZ Pricer Release 17.3.0

By | 8 October 2017

Pricing

  • [New] FRNs (floating rate notes) are now supported in CRZ
  • [New] Deal status is linked to the market status: a warning/error is triggered in case any market data required for the deal pricing is out of date

Portfolio

  • [New] Added KVA (Capital Value Adjustment) for MR, CCR et CVA charges
  • [New] Upgraded SIMM to SIMM v2.0. SIMM parameters are stored as market data, so any call prior to 04/12/17 will use SIMM v1.3 as expected.
  • [New] Added ability to customize reduced & forward tenors risk transformations

Market Data Analysis

  • [New] Swap Rates view now supports spreads and butterflies (syntax examples: 5Y/10Y & 5Y/10Y/30Y)
  • [Bug] Historical charts could fail

Contribution

  • [New] Now supports B-Pipe connectivity
  • [New] Automation of Missing market data contribution in market status
  • [Bug] Bond prices were not mapped in Bloomberg
  • [Bug] Bond curve contribution was failing with Bloomberg provider
Category: Modelling Pricing

About Franck Albert

X-Pont (1994 promotion), Franck Albert is a former exotic options trader for HSBC in Paris and BNP Paribas in London. From January 2009 to April 2016, he has been head of the quantitative fixed income risk team at BNP Paribas London, before joining CRZ Pricing as co-founder.

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